Imprecise return rates on the Warsaw Stock Exchange Abstract

Krzysztof M. Piasecki 

Uniwersytet Ekonomiczny w Poznaniu (UEP), Al. Niepodległości 10, Poznań 61-875, Poland

Abstract

The return rate in imprecision risk may be described as a fuzzy probabilistic set (Piasecki, 2011a). Properties of this return are considered in (Piasecki, 2011b) for any probability distribution of future value. On the other side, in (Piasecki, Tomasik, 2013) is shown that the Normal Inverse Gaussian distribution (NIG distribution) is the best matching probability distribution of logarithmic returns on Warsaw Stock Exchange. There will be presented the basic properties if imprecise return with NIG distribution of future value logarithm. The existence of expected return rate and basis risk characteristic will be discussed.

References:

Piasecki, K. (2011a), Behavioural Present Value, Behavioral & Experimental Finance eJournal 2011/4. Available at SSRN: http://dx.doi.org/10.2139/ssrn.1729351

Piasecki, K. (2011b), Effectiveness of securities with fuzzy probabilistic return, Operations Research and Decisions 2/2011, pp 65-78.

Piasecki K., Tomasik E. (2013), Rozkłady stóp zwrotu z instrumentów polskiego rynku kapitałowego, Edu-libri, Kraków

 

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Presentation: Oral at Current Economic and Social Topics CEST2013, Symposium on Financial Market Analysis, by Krzysztof M. Piasecki
See On-line Journal of Current Economic and Social Topics CEST2013

Submitted: 2013-05-09 23:47
Revised:   2014-01-22 12:07